This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.
Abstract Details
Activity Number:
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457
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Type:
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Topic Contributed
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Date/Time:
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Wednesday, August 4, 2010 : 8:30 AM to 10:20 AM
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Sponsor:
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Section on Statistical Computing
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Abstract - #308461 |
Title:
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A Parameterization of the Generalized Lambda Distribution with Closed-Form Expressions for Method of L-Moment Estimation
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Author(s):
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Paul Jacobus van Staden*+
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Companies:
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University of Pretoria
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Address:
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IT Building 5-37, Pretoria, 0002, South Africa
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Keywords:
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Generalized lambda distribution ;
Generalized Pareto distribution ;
L-moment ratio diagram ;
Quantile function
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Abstract:
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In statistical modeling, two parameterizations of the generalized lambda distribution (GLD) have found favor among statisticians and practitioners, namely the Ramberg-Schmeiser (RS) and the Freimer-Mudholkar-Kollia-Lin (FMKL) parameterizations. Unfortunately, existing estimation methodologies for both these parameterizations are computationally difficult in that numerical optimization techniques are required. In this paper, using the generalized Pareto distribution as a building block, an alternative parameterization of the GLD is derived. Unlike the RS and FMKL parameterizations, this parameterization of the GLD has explicit formulae for the method of L-moment estimators. The properties of this parameterization are presented and its flexibility with respect to distributional shape is demonstrated through a number of illustrative examples.
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Authors who are presenting talks have a * after their name.
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